I was looking to maybe be able to turn the volume up or down as well instead of just: on/vibrate/off

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You really don't want that. My Droid 2 Global would do that and you could end up turning your ring volume down/off accidentally. It would just require two buttons be hit at the same time (power & volume rocker).

The volume buttons do work when the screen is off. If your listening to music, with the screen off, use the volume buttons to adjust the sound. If nothing is playing then the volume changes the ringer volume instead.